Update: I was unfortunately not aware of Shamus Young's severe criticism of Fallout 3 available here to link in the original piece and I regret that. It dovetails rather nicely with what I've written and it's much better executed than my piece. I strongly recommend anyone...

GUN was a surprisingly good game. As I understand it, there aren't many titles out there that focus on the old west, so this was just a refreshing change in that respect.
I would say that it's definitely a worthwhile game to have in your collection, because it is kind of unique, and it does provide an awful lot of entertainment.

It's just a nicely set up game. The beginning, as with most games, starts with a tutorial of how to use some of the features in the game. This is nicely presented in the form of practicing the trade with the main character (Colton White) and his father does: hunting game. It starts out easy having to shoot a few quail once they've been roused, and then you learn one of the most useful features in the game. The Quick Draw. This is pretty self-explanatory, in that you quickly draw your revolver, but in addition to this, time is sort of slowed down, so you are able to careful pick your targets, and then you just flick the left analog stick left or right to switch targets. This proves to be an invaluable feature throughout the game, as it allows you to dispatch a bunch of enemies quickly and efficiently if they're coming at you all guns blazing. It can only be used sparingly however, as it does eventually run out. Luckily though, all you have to do to build it back up is to shoot people!
You then get to practice using your rifle when you are told to kill some elk, and also when defending your pay from scavenging wolves. During this tutorial is when you encounter what could be considered the first boss fight. The boss is a Grizzly, which you have to kill before it kills your father. It's pretty straightforward.
The steamboat for which you have killed this game then arrives, and you and your father (Ned) go onboard. It ends up getting ambushed by command of a preacher and future adversary named Reed, and the boat sinks and Ned dies. This sets up the whole story of the game, as Colton pursues the preacher to get answers and vengeance.
After the cut-scene, there is another useful tutorial, this time regarding all things horse. "Honest" Tom teaches you how to spur your horse etc and how to shoot from horseback, and puts you to the test for each, by racing around the meadow, and shooting bottles off of a wall. This also proves extremely useful, as there are many confrontations and chases on horseback later on in the game. Too bad Tom isn't as honest as his name would suggest, and you end up having to kill him and his 2 buddies before they kill you! But at least you get a horse out of it. From there you move on to Dodge City, where among other things, the main mission storyline can begin.
Dodge City along with Empire are the two major towns in the game, where you can undertake several of the side missions which are aimed at building up Colton's stats and earning him money. These are a lot of fun. There's a company called the Pony Express, which hires you to take messages to people, all under a set time limit. This improves your horse stats, as you obviously have to race to each location, but also make sure you don't over spur your horse, or it will die. This also earns you money, since you're basically acting as a courier. You can also play Poker simply to earn money, and also take the role as Sheriff and uphold the law while the real sheriff takes care of other business, where you take care of any miscreants that try disturbing the peace. There are also Wanted Posters scattered across the map, and you can take it upon yourself to bring them in for the reward. Some request the criminal be dead only, some request alive only, but the majority don't mind, though you tend to get paid more for capturing the suspect alive. This is done by wounding him with your melee weapon (knife or tomahawk) and then knocking him out. This along with the Sheriff duty improves your reloading stats, and quick draw time.
Another side mission unlike the others is hunting for the Apaches. You basically have to scour the wilds and find the creature they require you to kill, and kill it with a well-placed headshot from a bow. This is a nice side mission, as it builds up your skill with a bow, and teaches you how to sneak, as the animal will run off if it detects you. The last side mission involves you herding cattle at the ranch. This is again used to build up your horse stats.

The only downside to this game is the length. I received 100% completion just a couple of days after buying it, and that was by no means non-stop gaming. I found this a little disappointing. The storyline, while very good and entertaining, isn't very long, and completing the side missions is not difficult. For example, I was able to complete the Poker tournament, and yet I have no idea how to play Poker!
Other than that though, there's nothing bad to say about this game. The graphics are very nice, the environments inspiring, and the selection of weapons are good. The money you earn doing side missions goes toward some very useful items and upgrades, which you can buy from the shopkeeper